Linnik distributions and processes

DOI10.2307/3214842MaRDI QIDQ5288011zbMATH OpenOpenAlexFDO

Authors Dale N. Anderson, Barry C. Arnold

Publication date 19 December 1993

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214842

zbMATH Keywords

characteristic functiondiscrete-time processesexponential processesgeometric compoundingLinnik distributionsstable processesstationary Linnik distributionstock pricestime series

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Characterization and structure theory of statistical distributions (62E10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

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Cited in

(31)

• A multivariate Linnik distribution
• Weak limits for multivariate random sums
• Analytic and asymptotic properties of generalized Linnik probability densities
• A note on the Linnik distributions
• Computer simulation of geometric stable distributions
• Fractional moment estimation of Linnik and Mittag-Leffler parameters
• An autoregressive process with geometric -Laplace marginals
• A mixture representation of the Linnik distribution
• An estimation procedure for the Linnik distribution
• Random self-decomposability and autoregressive processes
• Analytic and asymptotic properties of multivariate generalized Linnik's probability densities
• Analytic and asymptotic properties of non-symmetric Linnik's probability densities
• Linnik Lévy process and some extensions
• A Littlewood-Paley description of modelled distributions
• A time-series model using asymmetric Laplace distribution
• Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals
• Generalized Laplacian distributions and autoregressive processes
• Time series models with asymmetric Laplace innovations
• Marshall-Olkin Esscher transformed Laplace distribution and processes
• A note on the Cauchy-type mixture distributions
• Marshall-Olkin generalized asymmetric Laplace distributions and processes
• Bivariate discrete Linnik distribution
• Discrete stable-Linnik distribution and processes
• Applications of Marshall-Olkin Fréchet distribution
• Linnik processes
• Estimation and Simulation of the Riesz-Bessel Distribution
• Confined random motion with Laplace and Linnik statistics
• A characteristic function based circular distribution family and its goodness of fit : The flexible wrapped Linnik family
• Variations on the univariate and bivariate asymmetric Laplace themes
• Generalized normal-Laplace AR process
• Autoregressive processes with normal-Laplace marginals

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